Runge-Kutta methods for Itô stochastic differential equations with scalar noise
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Publication:2492722
DOI10.1007/s10543-005-0039-7zbMath1091.65004OpenAlexW2098745142MaRDI QIDQ2492722
Publication date: 14 June 2006
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10543-005-0039-7
convergenceWiener processnumerical examplesstochastic Runge-Kutta methodsItô stochastic differential equation systemscolored rooted tree analysis
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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